A simplified treatment of the theory of optimal regulation of Brownian motion (Q1177284)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simplified treatment of the theory of optimal regulation of Brownian motion |
scientific article |
Statements
A simplified treatment of the theory of optimal regulation of Brownian motion (English)
0 references
26 June 1992
0 references
The paper is concerned with furnishing a simpler exposition of the problem of optimal regulation of Brownian motion through discrete approximation of the motion in the manner of Cox and Ross. This enables the authors to present the problem as one of discrete Markov chain and to derive and interpret the necessary conditions. Since use of Brownian motion has become increasingly popular in economics, I believe the exposition presented in the paper will be extremely helpful.
0 references
optimal regulation of Brownian motion
0 references
discrete approximation
0 references
discrete Markov chain
0 references
